Derivative Report

July 10, 2013

Comments The Nifty futures open interest increased by 4.22% while BankNifty futures open interest is increased by 2.77% as market closed at 5859.00 levels. The Nifty July future closed at premium of 9.35 point against a premium of 17.70 points. The August series closed at a premium of 31.65 points. The Implied Volatility of at the money options has decreased from 19.40% to 19.13%. Nifty PCR-OI has decreased from 1.19 to 1.18 levels. The total OI of the market is Rs. 1,31,1143/- cr. and the stock futures OI is Rs. 28,741/- cr. Few of the liquid counters where we have seen high cost of carry are UNITECH, RAYMOND, GMRINFRA, PTC and ASHOKLEY.

Nifty Vs OI

OI Gainers
SCRIP BIOCON UNITECH HAVELLS KTKBANK DRREDDY OI 1311000 77424000 681500 15574000 651625 OI CHANGE (%) 19.62 9.79 9.21 8.92 8.92 PRICE 294.25 20.30 783.80 114.75 2284.20 PRICE CHANGE (%) 3.52 0.74 3.86 6.51 1.53

View FII's were marginal buyers in cash segment. On monday they unwind some index futures long positions and index option unwinding too was seen, come tuesday they did exactly opposite and more or less of same quantum. Some longs in index futures and buying in index options was seen in yesterdays trading session. On options front 5800 and 5900 put options showed some built-up in session gone by while in calls 6000 was sole to add some meaningful open interest. Activity was quite mute otherwise, hitting volume negatively. TATASTEEL has good support zone around Rs. 250260. Since beginning of July series we have seen lot of short positions being formed in the counter. We are expecting stock to take support here and give some bounce. Its future is trading around 7 rupee discount. Hence we suggest to go long in it around Rs. 253-256 with target of Rs. 278 and stop loss of Rs. 246.

OI Losers
SCRIP OI OI CHANGE (%) PRICE PRICE CHANGE (%)

FEDERALBNK SUNTV POWERGRID WIPRO OFSS

499500 1614000 6498000 2083500 217000

-5.58 -5.20 -4.94 -4.69 -4.46

398.10 392.25 109.85 360.15 2620.55

2.68 -0.28 3.82 1.09 -1.34

Put-Call Ratio
SCRIP NIFTY BANKNIFTY SBIN INFY RELIANCE PCRPCR-OI 1.18 1.00 0.50 0.81 0.90 PCRPCR-VOL 1.04 0.73 0.45 0.60 0.64

Historical Volatility
SCRIP POWERGRID SRTRANSFIN FINANTECH BIOCON SUNPHARMA INFY HV 38.92 49.53 52.60 31.66 37.95 74.73

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Derivative Report
July 10, 2013

FII Statistics for 09-July-2013

Open Interest Detail Buy Sell Net Contracts INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL Value (` in cr.) 10616.30 47782.84 27401.69 1803.40 87604.24 Change (%) 3.92 4.03 1.44 9.10 3.28

Turnover on 09-July-2013
No. of Contracts Contracts Turnover (` in cr.) Change (%)

Instrument

1709.90 8734.67 1182.51 810.43

1370.62 8074.99 1553.83 873.62

339.28 659.68 (371.32) (63.19) 564.46

362737 1632103 965774 66736 3027350

INDEX FUTURES INDEX OPTIONS STOCK FUTURES STOCK OPTIONS TOTAL

2,50,299 20,79,449 4,46,581 2,67,852 30,44,181

7300.51 61184.88 12834.43 7969.96 89289.78

-26.46 -27.98 -6.76 -12.13 -24.15

12437.52 11873.06

Nifty Spot =5859.00

Lot Size = 50

Bull-Call Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5900 6000 5900 6100 6000 6100 Price 75.05 36.90 75.05 15.50 36.90 15.50 21.40 78.60 6021.40 59.55 140.45 5959.55 Risk Reward BEP

Bear-Put Spreads
Action Buy Sell Buy Sell Buy Sell Strike 5800 5700 5800 5600 5700 5600 Price 67.85 40.90 67.85 23.70 40.90 23.70 17.20 82.80 5682.80 44.15 155.85 5755.85 Risk Reward BEP

38.15

61.85

5938.15

26.95

73.05

5773.05

Note: Above mentioned Bullish or Bearish Spreads in Nifty (July (July Series) are given as as an information and not as a recommendation. recommendation.

Nifty Put-Call Analysis

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Derivative Report
July 10, 2013

Strategy Date 0101-JulyJuly-13 0808-JulyJuly-13

Symbol TATAMOTORS NIFTY

Strategy Long Put Ladder Short Strangle

Status Open Open

Research Team Tel: 022 - 39357800

E-mail: research@angelbroking.com

Website: www.angelbroking.com

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